[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: RE: kclass estimators, xtivreg2
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of
> Alejandro Quijada
> Sent: 28 February 2007 13:32
> To: firstname.lastname@example.org
> Subject: st: kclass estimators, xtivreg2
> Dear statalist members,
> Since I have a panel dataset with a problem of errors in
> variables (EV), I wanted to use the class of estimators
> proposed by Verbeek and Nijman (1993) and Deaton (1985) which
> try to correct this kind of problem. Adopting the notation of
> Verbeek and Nijman (1993), the estimator is given by:
> B(alpha) = (mxy - alpha*sigma)/(Mxx - alpha*omega)
> Where Omega and sigma represent the structure on the
> measurement errors. The correction parameter alpha for
> Verbeek and Nijman is aproximately T-1/T, while Deaton'
> correction parameter would be a constant alpha=1.
> I think xtivreg2 is the indicated stata command to implement
> these two estimators, since it has the kclass option where
> you can put the correction parameter like fuller's option
> does. So, translating these two parameters into xtivreg2's
> language, I think they would be kclass=1 + (T-1/T) for
> Verbeek and Nijman and kclass=2 for Deaton. Is that right? if
> not, could you please guide me? I use stata 8.2.
It's hard to tell without more detail (usually on Statalist you are encouraged to provide fuller references and discussion - you can't count on everybody knowing this literature). But you are right that xtivreg2 supports k-class estimation such as Fuller's LIML, Nagar's bias-corrected IV estimator, etc. If so, then you can get the results you want using the -kclass- option ... but it's up to you to make sure that the -kclass- parameter is correctly specified.
One alternative if you're not sure is to replicate some published results that use these estimators.
> Thank you very much for your help
> Best regards,
> Charla con tus amigos en línea mediante MSN Messenger:
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
* For searches and help try: